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Solving Finite-Horizon Discounted Non-Stationary MDPS

Author

Listed:
  • Bouchra El Akraoui

    (1 Slimane University, Laboratory of Information Processing and Decision Support, Sultan Moulay, Morocco .)

  • Daoui Cherki

    (2 Slimane University, Laboratory of Information Processing and Decision Support, Sultan Moulay, Morocco .)

Abstract

Markov Decision Processes (MDPs) are a powerful framework for modeling many real-world problems with finite-horizons that maximize the reward given a sequence of actions. Although many problems such as investment and financial market problems where the value of a reward decreases exponentially with time, require the introduction of interest rates.

Suggested Citation

  • Bouchra El Akraoui & Daoui Cherki, 2023. "Solving Finite-Horizon Discounted Non-Stationary MDPS," Folia Oeconomica Stetinensia, Sciendo, vol. 23(1), pages 1-15, June.
    • Handle: RePEc:vrs:foeste:v:23:y:2023:i:1:p:1-15:n:12
    DOI: 10.2478/foli-2023-0001
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    References listed on IDEAS

    as
    1. White, Chelsea C. & White, Douglas J., 1989. "Markov decision processes," European Journal of Operational Research, Elsevier, vol. 39(1), pages 1-16, March.
    2. Dimitris Bertsimas & Velibor V. Mišić, 2016. "Decomposable Markov Decision Processes: A Fluid Optimization Approach," Operations Research, INFORMS, vol. 64(6), pages 1537-1555, December.
    3. Bouchra el Akraoui & Cherki Daoui & Abdelhadi Larach & khalid Rahhali & Efthymios G. Tsionas, 2022. "Decomposition Methods for Solving Finite-Horizon Large MDPs," Journal of Mathematics, Hindawi, vol. 2022, pages 1-8, August.
    4. Yinyu Ye, 2011. "The Simplex and Policy-Iteration Methods Are Strongly Polynomial for the Markov Decision Problem with a Fixed Discount Rate," Mathematics of Operations Research, INFORMS, vol. 36(4), pages 593-603, November.
    5. Huijie Peng & Yan Cheng & Xingyuan Li, 2023. "Real-Time Pricing Method for Spot Cloud Services with Non-Stationary Excess Capacity," Sustainability, MDPI, vol. 15(4), pages 1-21, February.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Markov Decision Process; Dynamic Programming; Backward Induction algorithm;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory

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